"Instead of constantly criticising, praise and encourage yourself. You'll need to confront the events that occurred just before you became depressed. You blamed yourself and inadvertently created the prison of depression. There is a key to this prison: accepting and valuing yourself, and accepting the natural uncertainty of life."
Self-talk was around a long time before modern psychology. But the content was a little different: honest wrestling with God about one's despair, and arguing oneself into faith. Read Psalm 42. Read the Puritans. Read Martyn Lloyd-Jones.
And learn to speak God's word into your soul:
I say that we must talk to ourselves instead of allowing ‘ourselves’ to talk to us! Do you realize what that means? … Have you realized that most of your unhappiness in life is due to the fact that you are listening to yourself instead of talking to yourself? Take those thoughts that come to you the moment you wake up in the morning. You have not originated them but they are talking to you, they bring back the problems of yesterday, etc. Somebody is talking. Who is talking to you? Your self is talking to you. Now this man’s treatment [in Psalm 42] was this: instead of allowing this self to talk to him, he starts talking to himself. “Why art thou cast down, O my soul?” he asks. His soul had been depressing him, crushing him. So he stands up and says: “Self, listen for a moment, I will speak to you.” …The long quote is from Martyn Lloyd-Jones Spiritual Depression pp.20-21. The short quote is from Dorothy Rowe's article in Sunday Life, 29th June 2008; I've taken out some words for readability, but not changed the meaning. The picture is from stock.xchng.
The main art in the matter of spiritual living is to know how to handle yourself. You have to take yourself in hand, you have to address yourself, preach to yourself, question yourself. You must say to your soul: ‘Why art thou cast down’ – what business have you to be disquieted? You must turn on yourself, upbraid yourself, condemn yourself, exhort yourself, and say to yourself: ‘Hope thou in God’ – instead of muttering in this depressed, unhappy way. And then you must go on to remind yourself of God, Who God is, and what God is and what God has done, and what God has pledged himself to do. Then having done that, end on this great note: defy yourself, and defy other people, and defy the devil and the whole world, and say with this man: ‘I shall yet praise Him for the help of His countenance, who is also the health of my countenance and my God.’